Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0083
Annualized Std Dev 0.1457
Annualized Sharpe (Rf=0%) -0.0570

Row

Daily Return Statistics

Close
Observations 4589.0000
NAs 1.0000
Minimum -0.1425
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.0907
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0092
Skewness -1.0464
Kurtosis 27.4115

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0067
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.4243
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0215
Modified VaR (95%) -0.0126
Modified ES (95%) -0.0126
From Trough To Depth Length To Trough Recovery
2003-07-01 2008-12-16 2012-03-09 -0.4243 2142 1337 805
2012-05-18 2020-03-18 NA -0.3727 2220 1966 NA
2012-03-13 2012-03-16 2012-05-17 -0.0962 45 4 41
2002-11-05 2002-12-18 2003-06-18 -0.0795 149 29 120
2003-06-19 2003-06-19 2003-06-25 -0.0265 5 1 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA 0 0.7 0.4 2.8 3.9
2003 0.7 -0.1 0.2 0.6 0.4 -1 0.2 0.5 1.6 0.7 -1.2 1.3 4
2004 -1 0 1.4 -1.5 0 1.1 0.1 -1 -0.8 -0.7 -0.1 0.5 -2.1
2005 0.5 2.1 2 0.5 0.1 0 0.5 0.5 -0.4 1.3 -0.1 1.6 9
2006 0.5 0.3 2.3 0 1.6 0.7 0.2 0 -0.1 -0.4 0.7 0.2 6.1
2007 -0.5 -0.1 0.3 0 0 1.5 -0.4 -0.6 -0.1 -1.5 0.4 1.2 0.1
2008 -0.3 -0.1 1.7 0.1 0.5 -2.8 0.5 -0.3 0.8 0 -1.9 -0.7 -2.6
2009 0.5 0.8 0.5 0.8 0 -0.8 1.3 -0.2 1 -1.2 2 -0.4 4.2
2010 0 2.7 0.4 0.6 -0.1 -0.1 0.7 -0.7 -1.1 0.9 -0.7 0.6 3.3
2011 1.5 0.1 -0.4 0.2 0.9 -0.2 -0.1 0 -0.9 0.2 1.7 -0.1 2.9
2012 0 -0.7 0.9 1.3 0.2 -0.4 0.4 0.2 0.1 -1.2 0.4 -0.4 0.7
2013 -0.2 0 0.2 0 -1.4 0.2 -1.3 -0.1 -0.6 -0.8 -0.2 -0.8 -5
2014 0.7 0.2 -0.1 -0.1 -0.5 -0.4 -1 0.4 -0.1 0.1 0.2 0.6 0
2015 0.8 0.9 0.8 0.3 0.8 -0.2 0.5 0.5 -0.5 -0.1 1.5 0.7 6.2
2016 0.3 0.4 0.7 0.2 -0.7 -0.1 0.6 -0.1 0.3 0.3 -1.9 0.6 0.3
2017 0.2 -0.5 0.7 -0.3 -0.2 0 0.3 -0.1 0.1 0.3 0.6 -0.3 0.7
2018 -0.2 -0.1 0 0 0 0.3 -0.1 0.1 -0.3 0.3 -0.4 1 0.7
2019 0.4 0.1 0.2 -0.3 0.6 -0.8 0.2 0 0.5 0 0.4 0.9 2.2
2020 0 -1.6 -1.6 0.4 0.3 0.8 0.6 -0.1 -0.2 0.2 1 1.2 1
2021 0.1 1.7 0.8 NA NA NA NA NA NA NA NA NA 2.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-09-26  15.0 SPY    85.7  0.0164   0.0122  -0.0895  -0.138    -0.154   -0.344       NA <NA>     NA    NA       NA
2 2002-09-27  15   SPY    82.8 -0.0348  -0.019   -0.102   -0.164    -0.191   -0.353       NA <NA>     NA    NA       NA
3 2002-09-30  15.0 SPY    81.8 -0.0116  -0.0224  -0.112   -0.157    -0.217   -0.360       NA <NA>     NA    NA       NA
4 2002-10-01  15.0 SPY    85.7  0.048    0.0414  -0.066   -0.0974   -0.178   -0.333       NA <NA>     NA    NA       NA
5 2002-10-02  15.0 SPY    83.2 -0.03    -0.0142  -0.0581  -0.129    -0.212   -0.352       NA <NA>     NA    NA       NA
6 2002-10-03  15.0 SPY    82.3 -0.0101  -0.0399  -0.0807  -0.171    -0.233   -0.351       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart